Eurex to adopt €STR flat discounting for Euribor swaps

Switch planned for Q2 of 2020, with a single cash payment to correct value transfers

euro rates

Eurex will begin using the new euro short-term rate (€STR) to discount Euribor-linked interest rate swaps in the second quarter of 2020. The Frankfurt-based clearing house will use a flat version of the rate with no additional spread and make a one-time cash payment to compensate any market participants that lose out as a result of the change.     

Matthias Graulich, chief strategy officer and a member of the executive board at Eurex, said the timing of the change was based on the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: